Our story
One purpose since our first client in 2010: help banks keep up with ever tougher regulation, from our first high-performance software to XAD and its code generation backend.
- 2006
Live signal processing
Our founders meet at Trinity College Dublin, working on one problem: making compute-intensive applications run in real time. The field is telecoms, live signal processing, where a late answer is no answer. - 2009
Finance after the crisis
The research matures, and finance comes knocking. After the 2008 crisis, regulators tighten how banks measure risk: XVA arrives, and Monte Carlo simulations need many times more scenarios. The same problem, with far higher stakes. - 2010
First client: a European bank
A European bank becomes our first client, and Xcelerit is spun out of Trinity College Dublin. The Xcelerit SDK follows, and spreads through bank pricing and risk code. - 2012
The benchmarks begin
Our first openly published finance benchmarks: processors and accelerators on the same workloads, shared with the community. - 2014
From faster valuations to faster sensitivities
Sensitivity-based rules, on the road to FRTB, SIMM and SA-CVA, turn the problem into sensitivities. Even after making a valuation ten times faster, ten thousand sensitivities with bumping still cost a thousand original valuations, too many to finish overnight. So we turned our know-how on the sensitivities themselves: QuantAD, our commercial AAD product, gives every one of them for the cost of a handful of valuations instead of one per risk factor. - 2022
XAD, in the open
QuantAD becomes XAD and goes open source, with QuantLib integration from the first release. Python and QuantLib-Risks follow in 2024. - 2026
270× on QuantLib
XAD code generation goes further. QuantLib with AAD computes all sensitivities of a pricing up to 270× faster than bumping on Monte Carlo, tested daily against QuantLib's master. XAD internals presented at CppCon.
Along the way: two-time winner of HPCwire's award for the best use of HPC in financial services; PRACE's award for the most innovative industrial HPC application in Europe; and Red Herring Top 100 finalist, Europe and Global.
